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A note on first passage times in birth and death and nonnegative diffusion processes

✍ Scribed by Cyrus Derman; Sheldon M. Ross; Zvi Schechner


Publisher
John Wiley and Sons
Year
1983
Tongue
English
Weight
123 KB
Volume
30
Category
Article
ISSN
0894-069X

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First passage time for multivariate jump
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## Abstract The first passage time (FPT) problem is an important problem with a wide range of applications in science, engineering, economics, and industry. Mathematically, such a problem can be reduced to estimating the probability of a stochastic process first to reach a boundary level. In most i